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Backtest - WO Classic 2.5Δ Calls
- End Balance
-
$651,8434.2% CAGR
- Drawdown
-
-$36,290-5.6%
- Sortino
-
0.310.39 Sharpe
Stack Positions
The percent return on this chart represents the sum of all individual day percent gains. This does not include compounding or represent total return.
The information provided on Whispertrades is for general information purposes only. No information, materials, services and other content provided on this website constitute solicitation, recommendation, endorsement or any financial, investment, or other advice. Seek independent professional consultation in the form of legal, financial, and fiscal advice before making any investment decision. Past performance may not be indicative of future results.
| Total Return | CAGR | Drawdown | MAR | Sharpe | Sortino | Annualized Vol. | Correlation | Beta | |
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 30.4% | 4.2% | -5.6% | 0.76 | 0.39 | 0.31 | 3.9 | ||
| SPX | 87.5% | 10.3% | -0% |
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$651,843
Broker Fees
$13,054
Return %
30.4%
Return $
$151,843
CAGR
4.2%
Drawdown %
-5.6%
Drawdown $
-$36,290
Drawdown Days
399 days
Sortino
0.31
Sharpe
0.39
MAR
0.76
Annual Vol.
3.9%
Correlation
Beta
Trades
1338
Winners
1323 (98.9%)
Losers
15
Avg Gain
$113
Avg Winner
$209
Avg Loser
-$8,319
Premium Collected $
$355,287
Premium Retained $
$164,897
Premium Retained %
46.4%
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$651,843
Broker Fees
$13,054
Return %
30.4%
Return $
$151,843
CAGR
4.2%
Drawdown %
-5.6%
Drawdown $
-$36,290
Drawdown Days
399 days
Sortino
0.31
Sharpe
0.39
MAR
0.76
Annual Vol.
3.9%
Correlation
Beta
Trades
1338
Winners
1323 (98.9%)
Losers
15
Avg Gain
$113
Avg Winner
$209
Avg Loser
-$8,319
Premium Collected $
$355,287
Premium Retained $
$164,897
Premium Retained %
46.4%
-
Year
Backtest $ Backtest
Backtest %
SPX
-
2016-$270.0%(-1.1%)3.3%(-4.6%)September$1,4670.3%(-0.1%)-0.1%(-2.8%)October$1,0530.2%(0.0%)-1.9%(-1.7%)November$1,5210.3%(-0.2%)3.4%(-1.2%)December-$4,068-0.8%(-1.1%)1.8%(-1.4%)
-
2017$3,9540.8%(-1.5%)18.0%(-2.8%)January-$6,245-1.2%(-1.5%)1.8%(-0.8%)February$8680.2%(-0.1%)3.7%(-0.2%)March$1,3840.3%(-0.0%)0.0%(-2.3%)April$1,1040.2%(-0.0%)0.9%(-1.3%)May$8720.2%(-0.0%)1.2%(-1.9%)June$9360.2%(-0.1%)0.5%(-1.4%)July$6400.1%(0.0%)1.9%(-0.9%)August$8240.2%(-0.1%)0.1%(-2.2%)September$8560.2%(-0.0%)1.9%(-0.8%)October$8160.2%(-0.0%)2.2%(-0.7%)November$8480.2%(-0.1%)2.8%(-1.1%)December$1,0510.2%(0.0%)1.1%(-0.6%)
-
2018$23,9154.7%(-1.1%)-5.1%(-19.8%)January$6020.1%(-0.2%)5.5%(-1.8%)February-$483-0.1%(-0.6%)-3.7%(-8.5%)March$1,8660.4%(-0.2%)-2.5%(-7.1%)April$2,9150.6%(-0.8%)0.4%(-2.7%)May$1,9350.4%(-0.4%)2.2%(-1.6%)June$1,3650.3%(-0.0%)0.5%(-3.1%)July$1,2810.3%(-0.2%)3.6%(-1.5%)August$1,3440.3%(-0.1%)3.0%(-1.4%)September$1,2740.2%(-0.0%)0.5%(-0.9%)October$3,7710.7%(-0.3%)-7.0%(-9.7%)November$2,7990.5%(-0.8%)1.9%(-6.4%)December$5,2461.0%(-1.1%)-9.3%(-15.7%)
-
2019$26,1114.9%(-0.6%)26.2%(-6.8%)January$3,7120.7%(-0.2%)7.7%(-2.5%)February$1,7280.3%(-0.1%)3.0%(-1.1%)March$2,3280.4%(-0.4%)1.8%(-2.2%)April$1,4630.3%(-0.2%)3.9%(-0.6%)May$2,9430.5%(-0.2%)-6.7%(-6.6%)June$1,0220.2%(-0.2%)6.7%(-1.4%)July$1,8970.4%(-0.0%)1.4%(-1.5%)August$3,8780.7%(-0.5%)-1.6%(-3.8%)September$2,0860.4%(-0.6%)1.8%(-1.6%)October$2,2820.4%(-0.1%)2.1%(-2.0%)November$1,2460.2%(-0.0%)3.4%(-0.6%)December$1,5260.3%(-0.1%)2.8%(-0.7%)
-
2020$41,1247.4%(-2.5%)21.0%(-33.9%)January$1,6940.3%(-0.1%)-0.1%(-3.1%)February-$377-0.1%(-0.6%)-8.5%(-12.8%)March$12,4412.2%(-1.4%)-9.7%(-28.5%)April$7,8011.4%(-0.5%)12.6%(-4.8%)May-$9,649-1.7%(-2.5%)4.7%(-3.8%)June$6,4681.1%(-0.5%)2.2%(-7.1%)July$4,6830.8%(-0.1%)5.5%(-1.9%)August$2,2750.4%(-0.5%)6.8%(-0.8%)September$2,1200.4%(-0.6%)-3.8%(-9.6%)October$5,9351.0%(-0.0%)-2.6%(-7.5%)November$4,0730.7%(-0.1%)10.3%(-1.9%)December$3,6600.6%(-0.0%)3.7%(-1.5%)
-
2021$36,3686.1%(-0.3%)24.7%(-5.2%)January$3,4380.6%(-0.3%)-1.0%(-3.7%)February$3,5760.6%(-0.0%)2.7%(-3.2%)March$4,3680.7%(-0.3%)4.3%(-3.4%)April$2,7720.5%(-0.1%)5.1%(-1.2%)May$3,1740.5%(-0.1%)0.6%(-4.0%)June$2,8140.5%(-0.1%)2.2%(-2.1%)July$2,3820.4%(-0.1%)2.3%(-2.9%)August$2,0560.3%(-0.1%)2.9%(-1.8%)September$3,1820.5%(-0.0%)-4.8%(-5.1%)October$2,8810.5%(-0.1%)6.8%(-1.3%)November$2,7450.4%(-0.0%)-0.8%(-2.9%)December$2,9800.5%(-0.2%)4.4%(-3.0%)
-
2022$21,4083.4%(-5.6%)-18.7%(-25.4%)January$4,8920.8%(-0.2%)-5.3%(-9.8%)February-$26,426-4.2%(-5.0%)-3.0%(-7.9%)March$7,5181.2%(-0.3%)3.8%(-4.9%)April$6,8141.1%(-0.3%)-9.0%(-9.8%)May$11,8141.9%(-0.3%)0.4%(-9.3%)June-$14,274-2.2%(-3.8%)-8.4%(-12.2%)July$6,3541.0%(-0.1%)8.9%(-2.9%)August$7,5901.2%(-0.1%)-4.2%(-8.1%)September$12,1571.9%(-0.1%)-9.5%(-12.7%)October-$11,541-1.8%(-5.6%)8.0%(-5.7%)November$7,6861.2%(-0.2%)5.5%(-3.5%)December$8,8241.4%(-0.4%)-5.9%(-7.2%)
-
2023-$1,010-0.2%(-1.0%)5.9%(-2.5%)January-$1,010-0.2%(-1.0%)5.9%(-2.5%)
|
Position
|
Fills | Entry | Exit |
|---|---|---|---|
|
2.5D call 80% PT
SPXW Short Call
80.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
65% slippage at entry
65% slippage at exit
|
$1.00 fee per contract
$0.05 free to close
1 minute between trades
65% slippage at entry
65% slippage at exit
|
Sequential
Before 3:00 PM EDT
1 DTE (1 min - 4 max)
0.025 CALL Δ
|
80% profit target
|
| Position | Position | Legs | Timing | Entry | Exit | Result |
|---|---|---|---|---|---|---|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Sep 2nd 2205c
|
-9 Fri Sep 2nd 2205c
$396,900 max risk
|
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
Fri Sep 2nd 2016
4:00 PM EDT |
|
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
SPX 2171.08
|
Fri Sep 2nd 2016
4:00 PM EDT
SPX 2179.95
|
Expired
$72 | 0.02%
$500,072 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Sep 7th 2210c
|
-9 Wed Sep 7th 2210c
$397,800 max risk
|
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
Wed Sep 7th 2016
4:00 PM EDT |
|
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
SPX 2183.51
|
Wed Sep 7th 2016
4:00 PM EDT
SPX 2186.16
|
Expired
$72 | 0.02%
$500,144 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Sep 9th 2205c
|
-9 Fri Sep 9th 2205c
$396,900 max risk
|
Thu Sep 8th 2016
9:31 AM EDT | $0.10 credit
Fri Sep 9th 2016
4:00 PM EDT |
|
Thu Sep 8th 2016
9:31 AM EDT | $0.10 credit
SPX 2181.12
|
Fri Sep 9th 2016
4:00 PM EDT
SPX 2128.01
|
Expired
$81 | 0.02%
$500,225 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Sep 14th 2185c
|
-9 Wed Sep 14th 2185c
$393,300 max risk
|
Mon Sep 12th 2016
9:31 AM EDT | $0.23 credit
Tue Sep 13th 2016
12:31 PM EDT | $0.05 debit
|
Mon Sep 12th 2016
9:31 AM EDT | $0.23 credit
SPX 2120.06
|
Tue Sep 13th 2016
12:31 PM EDT | $0.05 debit
SPX 2125.89
|
Profit Target
$153 | 0.04%
$500,378 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Sep 14th 2170c
|
-9 Wed Sep 14th 2170c
$390,600 max risk
|
Tue Sep 13th 2016
12:32 PM EDT | $0.19 credit
Wed Sep 14th 2016
9:32 AM EDT | $0.05 debit
|
Tue Sep 13th 2016
12:32 PM EDT | $0.19 credit
SPX 2126.12
|
Wed Sep 14th 2016
9:32 AM EDT | $0.05 debit
SPX 2128.81
|
Profit Target
$117 | 0.03%
$500,495 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Mon Sep 19th 2180c
|
-9 Mon Sep 19th 2180c
$392,400 max risk
|
Thu Sep 15th 2016
9:31 AM EDT | $0.24 credit
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
|
Thu Sep 15th 2016
9:31 AM EDT | $0.24 credit
SPX 2125.89
|
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
SPX 2134.37
|
Profit Target
$162 | 0.04%
$500,657 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Mon Sep 19th 2170c
|
-9 Mon Sep 19th 2170c
$390,600 max risk
|
Fri Sep 16th 2016
11:11 AM EDT | $0.15 credit
Fri Sep 16th 2016
3:11 PM EDT | $0.05 debit
|
Fri Sep 16th 2016
11:11 AM EDT | $0.15 credit
SPX 2134.70
|
Fri Sep 16th 2016
3:11 PM EDT | $0.05 debit
SPX 2136.16
|
Profit Target
$81 | 0.02%
$500,738 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Sep 21st 2190c
|
-9 Wed Sep 21st 2190c
$394,200 max risk
|
Mon Sep 19th 2016
9:31 AM EDT | $0.22 credit
Wed Sep 21st 2016
2:01 PM EDT | $0.05 debit
|
Mon Sep 19th 2016
9:31 AM EDT | $0.22 credit
SPX 2146.81
|
Wed Sep 21st 2016
2:01 PM EDT | $0.05 debit
SPX 2147.15
|
Profit Target
$144 | 0.04%
$500,882 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Sep 23rd 2200c
|
-9 Fri Sep 23rd 2200c
$396,000 max risk
|
Wed Sep 21st 2016
2:02 PM EDT | $0.22 credit
Fri Sep 23rd 2016
9:30 AM EDT | $0.05 debit
|
Wed Sep 21st 2016
2:02 PM EDT | $0.22 credit
SPX 2147.47
|
Fri Sep 23rd 2016
9:30 AM EDT | $0.05 debit
SPX 2172.75
|
Profit Target
$144 | 0.04%
$501,026 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Mon Sep 26th 2200c
|
-9 Mon Sep 26th 2200c
$396,000 max risk
|
Fri Sep 23rd 2016
9:31 AM EDT | $0.10 credit
Mon Sep 26th 2016
4:00 PM EDT |
|
Fri Sep 23rd 2016
9:31 AM EDT | $0.10 credit
SPX 2171.91
|
Mon Sep 26th 2016
4:00 PM EDT
SPX 2146.31
|
Expired
$81 | 0.02%
$501,107 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Sep 28th 2180c
|
-9 Wed Sep 28th 2180c
$392,400 max risk
|
Tue Sep 27th 2016
9:31 AM EDT | $0.20 credit
Wed Sep 28th 2016
9:41 AM EDT | $0.05 debit
|
Tue Sep 27th 2016
9:31 AM EDT | $0.20 credit
SPX 2142.93
|
Wed Sep 28th 2016
9:41 AM EDT | $0.05 debit
SPX 2162.49
|
Profit Target
$126 | 0.03%
$501,233 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Sep 30th 2195c
|
-9 Fri Sep 30th 2195c
$395,100 max risk
|
Wed Sep 28th 2016
9:42 AM EDT | $0.19 credit
Thu Sep 29th 2016
1:26 PM EDT | $0.05 debit
|
Wed Sep 28th 2016
9:42 AM EDT | $0.19 credit
SPX 2162.75
|
Thu Sep 29th 2016
1:26 PM EDT | $0.05 debit
SPX 2154.60
|
Profit Target
$117 | 0.03%
$501,350 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Sep 30th 2185c
|
-9 Fri Sep 30th 2185c
$393,300 max risk
|
Thu Sep 29th 2016
1:27 PM EDT | $0.19 credit
Fri Sep 30th 2016
9:34 AM EDT | $0.05 debit
|
Thu Sep 29th 2016
1:27 PM EDT | $0.19 credit
SPX 2154.84
|
Fri Sep 30th 2016
9:34 AM EDT | $0.05 debit
SPX 2163.57
|
Profit Target
$117 | 0.03%
$501,467 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Mon Oct 3rd 2195c
|
-9 Mon Oct 3rd 2195c
$395,100 max risk
|
Fri Sep 30th 2016
9:35 AM EDT | $0.10 credit
Mon Oct 3rd 2016
4:00 PM EDT |
|
Fri Sep 30th 2016
9:35 AM EDT | $0.10 credit
SPX 2163.05
|
Mon Oct 3rd 2016
4:00 PM EDT
SPX 2161.03
|
Expired
$81 | 0.02%
$501,548 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Oct 5th 2190c
|
-9 Wed Oct 5th 2190c
$394,200 max risk
|
Tue Oct 4th 2016
9:31 AM EDT | $0.09 credit
Wed Oct 5th 2016
4:00 PM EDT |
|
Tue Oct 4th 2016
9:31 AM EDT | $0.09 credit
SPX 2164.56
|
Wed Oct 5th 2016
4:00 PM EDT
SPX 2159.67
|
Expired
$72 | 0.02%
$501,620 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Oct 7th 2190c
|
-9 Fri Oct 7th 2190c
$394,200 max risk
|
Thu Oct 6th 2016
9:31 AM EDT | $0.13 credit
Fri Oct 7th 2016
4:00 PM EDT |
|
Thu Oct 6th 2016
9:31 AM EDT | $0.13 credit
SPX 2157.34
|
Fri Oct 7th 2016
4:00 PM EDT
SPX 2153.74
|
Expired
$108 | 0.03%
$501,728 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Oct 12th 2195c
|
-9 Wed Oct 12th 2195c
$395,100 max risk
|
Mon Oct 10th 2016
9:31 AM EDT | $0.10 credit
Wed Oct 12th 2016
4:00 PM EDT |
|
Mon Oct 10th 2016
9:31 AM EDT | $0.10 credit
SPX 2164.31
|
Wed Oct 12th 2016
4:00 PM EDT
SPX 2139.27
|
Expired
$81 | 0.02%
$501,809 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Fri Oct 14th 2165c
|
-9 Fri Oct 14th 2165c
$389,700 max risk
|
Thu Oct 13th 2016
9:31 AM EDT | $0.18 credit
Fri Oct 14th 2016
11:07 AM EDT | $0.05 debit
|
Thu Oct 13th 2016
9:31 AM EDT | $0.18 credit
SPX 2126.06
|
Fri Oct 14th 2016
11:07 AM EDT | $0.05 debit
SPX 2141.35
|
Profit Target
$108 | 0.03%
$501,917 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Mon Oct 17th 2170c
|
-9 Mon Oct 17th 2170c
$390,600 max risk
|
Fri Oct 14th 2016
11:08 AM EDT | $0.10 credit
Mon Oct 17th 2016
4:00 PM EDT |
|
Fri Oct 14th 2016
11:08 AM EDT | $0.10 credit
SPX 2141.53
|
Mon Oct 17th 2016
4:00 PM EDT
SPX 2126.48
|
Expired
$81 | 0.02%
$501,998 balance
|
|
2.5D call 80% PT
|
2.5D call 80% PT
-9 Wed Oct 19th 2170c
|
-9 Wed Oct 19th 2170c
$390,600 max risk
|
Tue Oct 18th 2016
9:31 AM EDT | $0.19 credit
Wed Oct 19th 2016
9:30 AM EDT | $0.05 debit
|
Tue Oct 18th 2016
9:31 AM EDT | $0.19 credit
SPX 2141.94
|
Wed Oct 19th 2016
9:30 AM EDT | $0.05 debit
SPX 2141.05
|
Profit Target
$117 | 0.03%
$502,115 balance
|